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Unit root testing in practice: dealing with uncertainty over the trend and initial condition

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Cited by:

  1. David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor, 2010. "The impact of the initial condition on robust tests for a linear trend," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(4), pages 292-302, July.
  2. Jansson Michael & Nielsen Morten Ørregaard, 2011. "Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots," Journal of Time Series Econometrics, De Gruyter, vol. 3(1), pages 1-21, February.
  3. David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor, 2011. "Testing for Unit Roots and the Impact of Quadratic Trends, with an Application to Relative Primary Commodity Prices," Econometric Reviews, Taylor & Francis Journals, vol. 30(5), pages 514-547, October.
  4. Born Benjamin & Demetrescu Matei, 2015. "Recursive Adjustment for General Deterministic Components and Improved Cointegration Rank Tests," Journal of Time Series Econometrics, De Gruyter, vol. 7(2), pages 143-179, July.
  5. Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert, 2010. "Robust methods for detecting multiple level breaks in autocorrelated time series," Journal of Econometrics, Elsevier, vol. 157(2), pages 342-358, August.
  6. Guillaume Chevillon, 2017. "Robust cointegration testing in the presence of weak trends, with an application to the human origin of global warming," Econometric Reviews, Taylor & Francis Journals, vol. 36(5), pages 514-545, May.
  7. Karsten Reichold, 2022. "A Residuals-Based Nonparametric Variance Ratio Test for Cointegration," Papers 2211.06288, arXiv.org, revised Dec 2022.
  8. Meng, Ming & Lee, Hyejin & Cho, Myeong Hyeon & Lee, Junsoo, 2013. "Impacts of the initial observation on unit root tests using recursive demeaning and detrending procedures," Economics Letters, Elsevier, vol. 120(2), pages 195-199.
  9. Niels Haldrup & Robinson Kruse & Timo Teräsvirta & Rasmus T. Varneskov, 2013. "Unit roots, non-linearities and structural breaks," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 4, pages 61-94, Edward Elgar Publishing.
  10. Samuel Brien & Michael Jansson & Morten Ørregaard Nielsen, 2022. "Nearly Efficient Likelihood Ratio Tests of a Unit Root in an Autoregressive Model of Arbitrary Order," Working Paper 1429, Economics Department, Queen's University.
  11. Pierre Perron & Gabriel Rodríguez, "undated". "Residuals-based Tests for Cointegration with GLS Detrended Data," Boston University - Department of Economics - Working Papers Series wp2015-017, Boston University - Department of Economics, revised 19 Oct 2015.
  12. Anton Skrobotov, 2015. "Trend and Initial Condition in Stationarity Tests: The Asymptotic Analysis," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 77(2), pages 254-273, April.
  13. Martin C. Arnold & Christoph Hanck, 2019. "On Combining Evidence from Heteroskedasticity Robust Panel Unit Root Tests in Pooled Regressions," JRFM, MDPI, vol. 12(3), pages 1-22, July.
  14. Smeekes, S., 2011. "Bootstrap sequential tests to determine the stationary units in a panel," Research Memorandum 003, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  15. Richard Crump & Gopi Shah Goda & Kevin J. Mumford, 2011. "Fertility and the Personal Exemption: Comment," American Economic Review, American Economic Association, vol. 101(4), pages 1616-1628, June.
  16. Harvey David I. & Leybourne Stephen J. & Whitehouse Emily J., 2018. "Testing for a unit root against ESTAR stationarity," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 22(1), pages 1-29, February.
  17. Paulo M. M. Rodrigues, 2013. "Recursive adjustment, unit root tests and structural breaks," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(1), pages 62-82, January.
  18. Smeekes, Stephan & Taylor, A.M. Robert, 2012. "Bootstrap Union Tests For Unit Roots In The Presence Of Nonstationary Volatility," Econometric Theory, Cambridge University Press, vol. 28(2), pages 422-456, April.
  19. Nishi, Mikihito & 西, 幹仁 & Kurozumi, Eiji & 黒住, 英司, 2022. "Stochastic Local and Moderate Departures from a Unit Root and Its Application to Unit Root Testing," Discussion Papers 2022-02, Graduate School of Economics, Hitotsubashi University.
  20. Wang, Shaoping & Li, Yanglin & Wen, Kuangyu, 2021. "Recursive adjusted unit root tests under non-stationary volatility," Economics Letters, Elsevier, vol. 205(C).
  21. Silva Lopes, Artur, 2020. "Revisiting income convergence with DF-Fourier tests: old evidence with a new test," MPRA Paper 102208, University Library of Munich, Germany.
  22. Addison, Tony & Ghoshray, Atanu, 2023. "Discerning trends in international metal prices in the presence of nonstationary volatility," Resource and Energy Economics, Elsevier, vol. 71(C).
  23. Amsler Christine & Schmidt Peter & Vogelsang Timothy J, 2009. "The KPSS Test Using Fixed-b Critical Values: Size and Power in Highly Autocorrelated Time Series," Journal of Time Series Econometrics, De Gruyter, vol. 1(1), pages 1-44, December.
  24. Matei Demetrescu & Helmut Lütkepohl & Pentti Saikkonen, 2009. "Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term," Econometrics Journal, Royal Economic Society, vol. 12(3), pages 414-435, November.
  25. Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert, 2012. "Testing for unit roots in the presence of uncertainty over both the trend and initial condition," Journal of Econometrics, Elsevier, vol. 169(2), pages 188-195.
  26. Atanu Ghoshray, 2018. "How Persistent are Shocks to Energy Prices?," The Energy Journal, , vol. 39(1_suppl), pages 175-192, June.
  27. Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert, 2012. "Unit root testing under a local break in trend," Journal of Econometrics, Elsevier, vol. 167(1), pages 140-167.
  28. Adél Bosch & Franz Ruch, 2013. "An Alternative Business Cycle Dating Procedure for South Africa," South African Journal of Economics, Economic Society of South Africa, vol. 81(4), pages 491-516, December.
  29. Stephan Smeekes, 2013. "Detrending Bootstrap Unit Root Tests," Econometric Reviews, Taylor & Francis Journals, vol. 32(8), pages 869-891, November.
  30. Silva Lopes, Artur, 2021. "Non-convergent incomes with a new DF-Fourier test: most likely you go your way (and I'll go mine)," MPRA Paper 120171, University Library of Munich, Germany, revised 09 Oct 2023.
  31. Bykhovskaya, Anna & Phillips, Peter C.B., 2020. "Point optimal testing with roots that are functionally local to unity," Journal of Econometrics, Elsevier, vol. 219(2), pages 231-259.
  32. Bailey, Natalia & Giraitis, Liudas, 2016. "Spectral approach to parameter-free unit root testing," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 4-16.
  33. Hugo Ferrer‐Pérez & María‐Isabel Ayuda & Antonio Aznar, 2019. "Improving the Performance of a Long‐Run Variance Ratio Test for a Unit Root," The Japanese Economic Review, Japanese Economic Association, vol. 70(2), pages 258-274, June.
  34. Sandberg, Rickard, 2016. "Trends, unit roots, structural changes, and time-varying asymmetries in U.S. macroeconomic data: the Stock and Watson data re-examined," Economic Modelling, Elsevier, vol. 52(PB), pages 699-713.
  35. repec:hal:journl:hal-00914830 is not listed on IDEAS
  36. Chevillon, Guillaume, 2012. "Local-Explosive Approximations to Null Distributions of the Johansen Cointegration Test, with an Application to Cyclical Concordance in the Euro Area," ESSEC Working Papers WP1210, ESSEC Research Center, ESSEC Business School.
  37. Lan Cheng & Xuguang Simon Sheng, 2017. "Combination of “combinations of p values”," Empirical Economics, Springer, vol. 53(1), pages 329-350, August.
  38. Niklas Ahlgren & Mikael Juselius, 2012. "Tests for cointegration rank and the initial condition," Empirical Economics, Springer, vol. 42(3), pages 667-691, June.
  39. Michael Jansson & Morten Ørregaard Nielsen, 2012. "Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 80(5), pages 2321-2332, September.
  40. Christian Bayer & Christoph Hanck, 2013. "Combining non-cointegration tests," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(1), pages 83-95, January.
  41. Meligkotsidou, Loukia & Tzavalis, Elias & Vrontos, Ioannis, 2017. "On Bayesian analysis and unit root testing for autoregressive models in the presence of multiple structural breaks," Econometrics and Statistics, Elsevier, vol. 4(C), pages 70-90.
  42. Skrobotov Anton, 2018. "On Trend Breaks and Initial Condition in Unit Root Testing," Journal of Time Series Econometrics, De Gruyter, vol. 10(1), pages 1-15, January.
  43. Skrobotov, Anton (Скроботов, Антон), 2015. "About Trend, the Shift and the Initial Value in Testing of the Hypothesis of a Unit Root [О Тренде, Сдвиге И Начальном Значении В Тестировании Гипотезы О Наличии Единичного Корня]," Published Papers mak6, Russian Presidential Academy of National Economy and Public Administration.
  44. Kajal Lahiri & Zhongwen Liang & Huaming Peng, 2017. "The Local Power of the IPS Test with Both Initial Conditions and Incidental Trends," CESifo Working Paper Series 6313, CESifo.
  45. Silva Lopes, Artur, 2016. "A simple proposal to improve the power of income convergence tests," Economics Letters, Elsevier, vol. 138(C), pages 92-95.
  46. David I. Harvey & Stephen J. Leybourne & Yang Zu, 2019. "Testing explosive bubbles with time-varying volatility," Econometric Reviews, Taylor & Francis Journals, vol. 38(10), pages 1131-1151, November.
  47. Maican, Florin G. & Sweeney, Richard J., 2013. "Rejection Probabilities for a Battery of Unit-Root Tests," Working Papers in Economics 568, University of Gothenburg, Department of Economics.
  48. Qiankun Zhou & Jun Yu, 2010. "Asymptotic Distributions of the Least Squares Estimator for Diffusion Processes," Working Papers 20-2010, Singapore Management University, School of Economics.
  49. Cho, Cheol-Keun & Amsler, Christine & Schmidt, Peter, 2015. "A test of the null of integer integration against the alternative of fractional integration," Journal of Econometrics, Elsevier, vol. 187(1), pages 217-237.
  50. Phillips, Peter C.B. & Magdalinos, Tassos, 2009. "Unit Root And Cointegrating Limit Theory When Initialization Is In The Infinite Past," Econometric Theory, Cambridge University Press, vol. 25(6), pages 1682-1715, December.
  51. Silva Lopes, Artur C., 2021. "Most likely you go your way (and I'll go mine): non-convergent incomes with a new DF-Fourier test," MPRA Paper 107676, University Library of Munich, Germany, revised 19 Mar 2021.
  52. Ke-Li Xu & Jui-Chung Yang, 2015. "Towards Uniformly Efficient Trend Estimation Under Weak/Strong Correlation and Non-stationary Volatility," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 42(1), pages 63-86, March.
  53. Arturas Juodis & Yiannis Karavias, 2019. "Partially heterogeneous tests for Granger non-causality in panel data," Bank of Lithuania Working Paper Series 59, Bank of Lithuania.
  54. Christoph Hanck, 2012. "Multiple unit root tests under uncertainty over the initial condition: some powerful modifications," Statistical Papers, Springer, vol. 53(3), pages 767-774, August.
  55. Patrick Marsh, 2019. "Properties of the power envelope for tests against both stationary and explosive alternatives: the effect of trends," Discussion Papers 19/03, University of Nottingham, Granger Centre for Time Series Econometrics.
  56. Shelef, Amit, 2016. "A Gini-based unit root test," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 763-772.
  57. Razvan Pascalau & Junsoo Lee & Saban Nazlioglu & Yan (Olivia) Lu, 2022. "Johansen‐type cointegration tests with a Fourier function," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(5), pages 828-852, September.
  58. Franz Ruch & Stan du Plessis, 2015. "SecondRound Effects from Food and Energy Prices an SBVAR approach," Working Papers 7008, South African Reserve Bank.
  59. David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor, 2009. "Robust methods for detecting multiple level breaks in autocorrelated time series [Revised to become No. 10/01 above]," Discussion Papers 09/01, University of Nottingham, Granger Centre for Time Series Econometrics.
  60. Fathali Firoozi & Donald Lien, 2016. "A Modified ADF Test for Geometric ARMA Processes," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 15(2), pages 173-179, December.
  61. Anton Skrobotov, 2013. "Double Unit Roots Testing, GLS-detrending and Uncertainty over the Initial Conditions," Working Papers 0083, Gaidar Institute for Economic Policy, revised 2013.
  62. Mehdi Hosseinkouchack & Uwe Hassler, 2016. "Powerful Unit Root Tests Free of Nuisance Parameters," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(4), pages 533-554, July.
  63. Jeremy Nguyen & Jen-je Su, 2015. "Combining linear and nonlinear unit root tests with an application to PPP," Economics Bulletin, AccessEcon, vol. 35(4), pages 2796-2801.
  64. Aristidou Chrystalleni & Harvey David I. & Leybourne Stephen J., 2017. "The Impact of the Initial Condition on Covariate Augmented Unit Root Tests," Journal of Time Series Econometrics, De Gruyter, vol. 9(1), pages 1-23, January.
  65. Heon Lee, 2021. "Money Creation and Banking: Theory and Evidence," Papers 2109.15096, arXiv.org, revised Jun 2024.
  66. Su, Jen-Je & Nguyen, Jeremy K., 2013. "Alternative unit root testing strategies using the Fourier approximation," Economics Letters, Elsevier, vol. 121(1), pages 8-11.
  67. Harvey, David I. & Leybourne, Stephen J., 2014. "Asymptotic behaviour of tests for a unit root against an explosive alternative," Economics Letters, Elsevier, vol. 122(1), pages 64-68.
  68. Anna Bykhovskaya & Vadim Gorin, 2020. "Cointegration in large VARs," Papers 2006.14179, arXiv.org, revised Dec 2021.
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